Intro
Here is an example to illustrate the problem. Consider I am tracking and displaying mouse global current position and last click button and position to the user. Here is an image:
To archive capturing click events on windows box, that would and will be sent to the other programs event messaging queue, I create a hook using winapi namely user32.dll library. This is outside JDK sandbox, so I use JNA to call the native library.
This all works perfectly, but it does not close as I expect it to. 
My question is - How do I properly close following example program?
Example source
Code below is not fully written by Me, but taken from this question in Oracle forum and partly fixed.
import java.awt.AWTException;
import java.awt.Dimension;
import java.awt.EventQueue;
import java.awt.GridLayout;
import java.awt.MouseInfo;
import java.awt.Point;
import java.awt.event.WindowAdapter;
import java.awt.event.WindowEvent;
import javax.swing.JFrame;
import javax.swing.JLabel;
import com.sun.jna.Native;
import com.sun.jna.NativeLong;
import com.sun.jna.Platform;
import com.sun.jna.Structure;
import com.sun.jna.platform.win32.BaseTSD.ULONG_PTR;
import com.sun.jna.platform.win32.Kernel32;
import com.sun.jna.platform.win32.User32;
import com.sun.jna.platform.win32.WinDef.HWND;
import com.sun.jna.platform.win32.WinDef.LRESULT;
import com.sun.jna.platform.win32.WinDef.WPARAM;
import com.sun.jna.platform.win32.WinUser.HHOOK;
import com.sun.jna.platform.win32.WinUser.HOOKPROC;
import com.sun.jna.platform.win32.WinUser.MSG;
import com.sun.jna.platform.win32.WinUser.POINT;
public class MouseExample {
    final JFrame jf;
    final JLabel jl1, jl2;
    final CWMouseHook mh;
    final Ticker jt;
    public class Ticker extends Thread {
        public boolean update = true;
        public void done() {
            update = false;
        }
        public void run() {
            try {
                Point p, l = MouseInfo.getPointerInfo().getLocation();
                int i = 0;
                while (update == true) {
                    try {
                        p = MouseInfo.getPointerInfo().getLocation();
                        if (!p.equals(l)) {
                            l = p;
                            jl1.setText(new GlobalMouseClick(p.x, p.y)
                                    .toString());
                        }
                        Thread.sleep(35);
                    } catch (InterruptedException e) {
                        e.printStackTrace();
                        return;
                    }
                }
            } catch (Exception e) {
                update = false;
            }
        }
    }
    public MouseExample() throws AWTException, UnsupportedOperationException {
        this.jl1 = new JLabel("{}");
        this.jl2 = new JLabel("{}");
        this.jf = new JFrame();
        this.jt = new Ticker();
        this.jt.start();
        this.mh = new CWMouseHook() {
            @Override
            public void globalClickEvent(GlobalMouseClick m) {
                jl2.setText(m.toString());
            }
        };
        mh.setMouseHook();
        jf.setLayout(new GridLayout(2, 2));
        jf.add(new JLabel("Position"));
        jf.add(jl1);
        jf.add(new JLabel("Last click"));
        jf.add(jl2);
        jf.addWindowListener(new WindowAdapter() {
            public void windowClosing(WindowEvent we) {
                mh.dispose();
                jt.done();
                jf.dispose();
            }
        });
        jf.setLocation(new Point(0, 0));
        jf.setPreferredSize(new Dimension(200, 90));
        jf.pack();
        jf.setVisible(true);
    }
    public static class GlobalMouseClick {
        private char c;
        private int x, y;
        public GlobalMouseClick(char c, int x, int y) {
            super();
            this.c = c;
            this.x = x;
            this.y = y;
        }
        public GlobalMouseClick(int x, int y) {
            super();
            this.x = x;
            this.y = y;
        }
        public char getC() {
            return c;
        }
        public void setC(char c) {
            this.c = c;
        }
        public int getX() {
            return x;
        }
        public void setX(int x) {
            this.x = x;
        }
        public int getY() {
            return y;
        }
        public void setY(int y) {
            this.y = y;
        }
        @Override
        public String toString() {
            return (c != 0 ? c : "") + " [" + x + "," + y + "]";
        }
    }
    public static class CWMouseHook {
        public User32 USER32INST;
        public CWMouseHook() throws UnsupportedOperationException {
            if (!Platform.isWindows()) {
                throw new UnsupportedOperationException(
                        "Not supported on this platform.");
            }
            USER32INST = User32.INSTANCE;
            mouseHook = hookTheMouse();
            Native.setProtected(true);
        }
        private static LowLevelMouseProc mouseHook;
        private HHOOK hhk;
        private boolean isHooked = false;
        public static final int WM_LBUTTONDOWN = 513;
        public static final int WM_LBUTTONUP = 514;
        public static final int WM_RBUTTONDOWN = 516;
        public static final int WM_RBUTTONUP = 517;
        public static final int WM_MBUTTONDOWN = 519;
        public static final int WM_MBUTTONUP = 520;
        public void dispose() {
            unsetMouseHook();
            mousehook_thread = null;
            mouseHook = null;
            hhk = null;
            USER32INST = null;
        }
        public void unsetMouseHook() {
            isHooked = false;
            USER32INST.UnhookWindowsHookEx(hhk);
            System.out.println("Mouse hook is unset.");
        }
        public boolean isIsHooked() {
            return isHooked;
        }
        public void globalClickEvent(GlobalMouseClick m) {
            System.out.println(m);
        }
        private Thread mousehook_thread;
public void setMouseHook() {
    mousehook_thread = new Thread(new Runnable() {
        @Override
        public void run() {
            try {
                if (!isHooked) {
                    hhk = USER32INST.SetWindowsHookEx(14, mouseHook,
                            Kernel32.INSTANCE.GetModuleHandle(null), 0);
                    isHooked = true;
                    System.out
                            .println("Mouse hook is set. Click anywhere.");
                    // message dispatch loop (message pump)
                    MSG msg = new MSG();
                    while ((USER32INST.GetMessage(msg, null, 0, 0)) != 0) {
                        USER32INST.TranslateMessage(msg);
                        USER32INST.DispatchMessage(msg);
                        if (!isHooked)
                            break;
                    }
                } else
                    System.out
                            .println("The Hook is already installed.");
            } catch (Exception e) {
                System.err.println("Caught exception in MouseHook!");
            }
        }
    });
    mousehook_thread.start();
}
        private interface LowLevelMouseProc extends HOOKPROC {
            LRESULT callback(int nCode, WPARAM wParam, MOUSEHOOKSTRUCT lParam);
        }
        private LowLevelMouseProc hookTheMouse() {
            return new LowLevelMouseProc() {
                @Override
                public LRESULT callback(int nCode, WPARAM wParam,
                        MOUSEHOOKSTRUCT info) {
                    if (nCode >= 0) {
                        switch (wParam.intValue()) {
                        case CWMouseHook.WM_LBUTTONDOWN:
                            globalClickEvent(new GlobalMouseClick('L',
                                    info.pt.x, info.pt.y));
                            break;
                        case CWMouseHook.WM_RBUTTONDOWN:
                            globalClickEvent(new GlobalMouseClick('R',
                                    info.pt.x, info.pt.y));
                            break;
                        case CWMouseHook.WM_MBUTTONDOWN:
                            globalClickEvent(new GlobalMouseClick('M',
                                    info.pt.x, info.pt.y));
                            break;
                        default:
                            break;
                        }
                    }
                    return USER32INST.CallNextHookEx(hhk, nCode, wParam,
                            info.getPointer());
                }
            };
        }
        public class Point extends Structure {
            public class ByReference extends Point implements
                    Structure.ByReference {
            };
            public NativeLong x;
            public NativeLong y;
        }
        public static class MOUSEHOOKSTRUCT extends Structure {
            public static class ByReference extends MOUSEHOOKSTRUCT implements
                    Structure.ByReference {
            };
            public POINT pt;
            public HWND hwnd;
            public int wHitTestCode;
            public ULONG_PTR dwExtraInfo;
        }
    }
    public static void main(String[] args) {
        EventQueue.invokeLater(new Runnable() {
            @Override
            public void run() {
                try {
                    new MouseExample();
                } catch (AWTException e) {
                    e.printStackTrace();
                }
            }
        });
    }
}